Value-at-risk (VaR) is one of the most common risk measures used in finance. The correct estimation of VaR is essential for any financial institution, in order to arrive at the accurate capital ...

Abstract: Streamflow disaggregation techniques are used to distribute a single aggregate flow value to multiple sites in both space and time while preserving distributional statistics (i.e., mean, ...

We use influence functions as a basic tool to study unconditional nonparametric and parametric expected shortfall (ES) estimators with regard to returns data influence, standard errors and coherence.

Nonparametric methods form an important core of statistical techniques and are typically used when data do not meet parametric assumptions. Understanding the foundation of these methods, as well as ...

Jeffrey S. Morris, Naisyin Wang, Joanne R. Lupton, Robert S. Chapkin, Nancy D. Turner, Mee Young Hong and Raymond J. Carroll An important problem in studying the etiology of colon cancer is ...

The measurement of the efficiency of public education expenditure using parametric and non-parametric methods has proven challenging. This paper seeks to overcome the difficulties of earlier studies ...

SAS/INSIGHT software provides nonparametric curve-fitting estimates from smoothing spline, kernel, loess, and fixed bandwidth local polynomial estimators that are alternatives to fitting polynomials.